DEFINE Statement

DEFINE name copula-type < ( parameter-value-options ... ) > ;

The DEFINE statement specifies the relevant information of the copula used for the simulation.

name

specifies the name of the copula definition, which can be used later in the SIMULATE statement.

copula-type

specifies one of the following types of the copula:

NORMAL

fits the normal copula

T

fits the copula

CLAYTON

fits the Clayton copula

GUMBEL

fits the Gumbel copula

FRANK

fits the Frank copula

These copula models are also described in the section Details: COPULA Procedure.

parameter-value-options

specify the input parameters used to simulate the specified copula. These options must be appropriate for the type of copula specified. The following options are valid:
COR=SAS-data-set

specifies the data set to read in the correlation matrix to use for elliptical copulas. This option can be used for the normal and copulas.

DF=value

specifies the degrees of freedom. This option can be used for the copula.

THETA=value

specifies the parameter value for the Archimedean copulas.

The DEFINE statement is used with the SIMULATE statement.The FIT statement can also be used with SIMULATE statement. The results of the FIT statement can be the input of the SIMULATE statement. Therefore, the SIMULATE statement can follow the FIT statement.If there is no FIT statement, then the DEFINE statement must precede SIMULATE statement. However, the FIT and DEFINE statements cannot both be used in the same procedure.